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The industry Internet security knowledge graph plays an important role in enriching the semantic relationships of security concepts, improving the quality of the security knowledge base, and enhancing the ability to visualize and analyze the security situation. It has become the key to recognize, trace and protect against the attacks targeting new energy industry control systems. However, compared with the construction of the general domain knowledge graph, there are still many problems in each stage of the construction of the industry Internet security knowledge graph, which affect its practical application effect. This paper introduces the concept and significance of the industry Internet security knowledge graph and its difference from the general knowledge graph, summarizes the related work and role of the ontology construction of industry Internet security knowledge graph. Under the background of industry Internet security, it focuses on the related work of the three important components of knowledge graph construction, respectively named entity recognition, relationship extraction and reference resolution. For each component, it detailedly reports on the development history and research status of this component in the domain, and deeply analyses the domain challenges in this component, such as non-continuous entity recognition, candidate word extraction, the lack of domain-quality datasets and so on. It predicts the future research directions of this component, provides reference and enlightenment to further improve the quality and usefulness of industry Internet security knowledge graph, so as to deal with emerging threats and attacks more effectively.